| Close | |
|---|---|
| Annualized Return | 0.0565 |
| Annualized Std Dev | 0.2753 |
| Annualized Sharpe (Rf=0%) | 0.2051 |
| Close | |
|---|---|
| Observations | 5240.0000 |
| NAs | 1.0000 |
| Minimum | -0.1362 |
| Quartile 1 | -0.0069 |
| Median | 0.0011 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0081 |
| Maximum | 0.1779 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0003 |
| Stdev | 0.0173 |
| Skewness | 0.3637 |
| Kurtosis | 8.0719 |
| Close | |
|---|---|
| Semi Deviation | 0.0122 |
| Gain Deviation | 0.0129 |
| Loss Deviation | 0.0130 |
| Downside Deviation (MAR=210%) | 0.0167 |
| Downside Deviation (Rf=0%) | 0.0121 |
| Downside Deviation (0%) | 0.0121 |
| Maximum Drawdown | 0.8190 |
| Historical VaR (95%) | -0.0279 |
| Historical ES (95%) | -0.0410 |
| Modified VaR (95%) | -0.0235 |
| Modified ES (95%) | -0.0235 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-07-18 | 2002-10-09 | 2017-04-27 | -0.8190 | 4221 | 559 | 3662 |
| 2020-02-20 | 2020-03-23 | 2020-06-08 | -0.3047 | 76 | 23 | 53 |
| 2018-08-30 | 2018-12-24 | 2019-04-05 | -0.2426 | 150 | 80 | 70 |
| 2020-09-03 | 2020-09-23 | 2020-12-04 | -0.1343 | 65 | 14 | 51 |
| 2019-04-30 | 2019-06-03 | 2019-07-12 | -0.1291 | 52 | 24 | 28 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2000 | NA | NA | NA | NA | 2.4 | 1 | -1.9 | 0.3 | -3.3 | -1.1 | 1.5 | -4.4 | -5.6 |
| 2001 | -0.2 | 3.7 | 0.1 | 2 | 2 | 2.5 | 2.5 | 0.6 | -1.7 | 2.7 | -0.3 | -2.2 | 12.2 |
| 2002 | -1.2 | 6.2 | 1 | -0.9 | -1.1 | -4.6 | -4.9 | -0.9 | 3.9 | 2.9 | -0.3 | -0.5 | -0.8 |
| 2003 | -1 | 1.1 | -0.3 | 1.4 | 1 | 1.2 | -0.6 | 0.6 | 2 | 0.5 | 0.8 | -0.5 | 6.3 |
| 2004 | 0 | 1.2 | 0.5 | -2.7 | -0.6 | -2.2 | 0.7 | 0.5 | 3.3 | 0.6 | 2.1 | -0.1 | 3.1 |
| 2005 | 0.6 | 1.2 | -0.7 | 1.2 | 0.9 | 0.3 | 0 | -0.5 | 0.7 | 0.4 | 1.5 | -0.6 | 5.2 |
| 2006 | 0.6 | 2.1 | -0.4 | -0.8 | 1.8 | -0.6 | -1.6 | 0.2 | -0.5 | -0.9 | -1.2 | -0.3 | -1.7 |
| 2007 | -0.1 | -0.5 | 0.1 | 0.4 | 0 | 0.1 | 1.1 | 1.3 | 1.3 | -1.3 | -1.5 | -1.1 | -0.3 |
| 2008 | 1 | -2.4 | 3.5 | 2.9 | 1 | 0.3 | -0.6 | -2.3 | -1.3 | 0.8 | -7.2 | 0.8 | -4 |
| 2009 | -3.1 | -0.1 | 2.2 | 0.6 | 3.4 | 0.7 | -0.2 | -2.1 | -3 | -2.5 | 1.4 | -1 | -3.8 |
| 2010 | 1.6 | 1.3 | 0.1 | -2.3 | -1.1 | -0.4 | -0.4 | 2.6 | -0.1 | 0.3 | 2.2 | -0.2 | 3.5 |
| 2011 | 1.8 | -1.8 | -0.3 | 0.3 | -2.3 | 1.6 | -0.2 | -1.2 | -2.8 | -2.9 | 0.5 | -0.2 | -7.5 |
| 2012 | 1.1 | 0.7 | -0.3 | 0.3 | -2.8 | 3.2 | -0.4 | 0.7 | -0.4 | 1.8 | -0.4 | 2.1 | 5.5 |
| 2013 | 0.9 | 0.1 | -1.1 | -0.8 | -0.8 | 0.7 | 1.1 | -0.7 | 1.1 | 0 | 0.5 | 0.8 | 1.7 |
| 2014 | 0.5 | -0.2 | 1.4 | -0.2 | -0.1 | 1 | -0.5 | 0.6 | -1.7 | 1.7 | -1.3 | -1.1 | 0 |
| 2015 | -1.6 | -0.5 | -0.5 | 1.5 | 0.3 | 0.4 | -0.4 | -3.3 | 0 | -0.7 | 1.1 | -1.4 | -5.2 |
| 2016 | 0.2 | 3.1 | 0.7 | -0.9 | -0.2 | 0 | 0.5 | 0.4 | 0.5 | -0.8 | -2.5 | -0.9 | 0 |
| 2017 | 1 | 1.4 | 0 | 1 | 0.3 | -0.1 | 0.4 | 0 | 0.8 | -0.1 | -0.5 | -0.6 | 3.6 |
| 2018 | 0 | -1.6 | 2.2 | 1.3 | 1.9 | -0.1 | 1 | 0.2 | 0.1 | 1.1 | 0.9 | 0.7 | 7.9 |
| 2019 | 0.3 | 0.7 | 1.4 | -0.4 | -1.8 | 1.6 | -0.6 | -0.1 | -1 | 1.3 | -0.5 | 0.2 | 1.1 |
| 2020 | -2.5 | 1.3 | -4.6 | -2.9 | 0.4 | 0.4 | 2.3 | 2.3 | 1.4 | -2.2 | 1 | 0 | -3.4 |
| 2021 | 2.7 | 3.3 | 0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 6.5 |
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2000-05-19 27.4 SPY 141. -0.0187 -0.0118 -0.014 0.043 0.0584 NA NA <NA> NA NA NA
2 2000-05-22 26.5 SPY 140. -0.0075 -0.0359 -0.0261 0.0377 0.0682 NA NA <NA> NA NA NA
3 2000-05-23 27.1 SPY 138 -0.0147 -0.0584 -0.0299 0.0105 0.0698 NA NA <NA> NA NA NA
4 2000-05-24 26.8 SPY 140. 0.0163 -0.0338 -0.0534 0.0481 0.0752 NA NA <NA> NA NA NA
5 2000-05-25 26.4 SPY 138. -0.0172 -0.0415 -0.059 0.0339 0.0722 NA NA <NA> NA NA NA
6 2000-05-26 26.4 SPY 138 0.0011 -0.0221 -0.0548 0.0138 0.0599 NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>